Probability Analysis: Tools for SPY Options Trading
Hover over any point on the chart to see the probability of expiring above that strike price!
Expected Move Formula
\( EM = S \times \sigma \times std \times \sqrt{\tfrac{DTE}{365}} \)
- Volatility σ: VIX as the proxy value for SPY options pricing.
- Probability Analysis: The probability of expiring above one strike price on a certain day is measured by option deltas.
SPY Expected Move
| Expiration | Dec 23 (1D) | Dec 24 (2D) | Dec 25 (3D) | Dec 26 (4D) | Dec 29 (7D) | Dec 30 (8D) | Dec 31 (9D) | Jan 01 (10D) | Jan 02 (11D) | Jan 05 (14D) | Jan 09 (18D) | Jan 16 (25D) | Jan 23 (32D) | Jan 30 (39D) | Feb 06 (46D) | Feb 13 (53D) | Feb 20 (60D) | Feb 27 (67D) | Mar 06 (74D) | Mar 13 (81D) | Mar 20 (88D) | Mar 27 (95D) |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| lower | 679.942 | 677.851 | 676.246 | 674.894 | 671.634 | 670.711 | 669.845 | 669.026 | 668.247 | 666.101 | 663.572 | 659.749 | 656.433 | 653.464 | 650.751 | 648.238 | 645.886 | 643.668 | 641.563 | 639.556 | 637.633 | 635.786 |
| upper | 690.038 | 692.129 | 693.734 | 695.086 | 698.346 | 699.269 | 700.135 | 700.954 | 701.733 | 703.879 | 706.408 | 710.231 | 713.547 | 716.516 | 719.229 | 721.742 | 724.094 | 726.312 | 728.417 | 730.424 | 732.347 | 734.194 |
| expected move | 5.048 | 7.139 | 8.744 | 10.096 | 13.356 | 14.279 | 15.145 | 15.964 | 16.743 | 18.889 | 21.418 | 25.241 | 28.557 | 31.526 | 34.239 | 36.752 | 39.104 | 41.322 | 43.427 | 45.434 | 47.357 | 49.204 |
Nianguang Zhao '25G, Master's in Financial Engineering at Lehigh University | Aspiring Quant | Cleared CFA Level 1
